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March Futures Roll Update, Supports High Volumes

US TSY FUTURES

Late session March/June roll update, 10Y leads w/ >280k, 5Y next up with >130k.
Strong volume also partially tied to March option expiration today. Jun'22 futures take lead quarterly position on February 28, First Notice dat. Current roll markets:

  • TUH/TUM 53,800 from 10.75 to 11.25, 10.88 last, 6% complete
  • FVH/FVM 134,900 from 10.75 to 12.0, 11.0 last, 8% complete
  • TYH/TYM 284,200 from 1.75 to 3.0, 1.75 last, 7% complete
  • UXYH/UXYM 37,900 from 26.75 to 27.5, 27.0 last, 6% complete
  • USH/USM 33,900 from -1-22.75 to 1-19, 1-21.25 last, 3% complete
  • WNH/WNM 89,100 from -1-08.25 to -1-03.75, -1-07.75 last, 4% complete

* Note, March futures won't expire until next month: 10s, 30s and Ultras on March 22, March 31 for 2s and 5s.

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